Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0982
Annualized Std Dev 0.2037
Annualized Sharpe (Rf=0%) 0.4819

Row

Daily Return Statistics

Close
Observations 4039.0000
NAs 1.0000
Minimum -0.1188
Quartile 1 -0.0047
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0063
Maximum 0.1222
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0128
Skewness -0.4357
Kurtosis 12.4815

Downside Risk

Close
Semi Deviation 0.0094
Gain Deviation 0.0090
Loss Deviation 0.0107
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.5298
Historical VaR (95%) -0.0194
Historical ES (95%) -0.0316
Modified VaR (95%) -0.0190
Modified ES (95%) -0.0336
From Trough To Depth Length To Trough Recovery
2007-10-15 2009-03-09 2012-10-04 -0.5298 1255 352 903
2020-02-20 2020-03-23 2020-07-06 -0.3246 95 23 72
2018-10-02 2018-12-24 2019-04-26 -0.2083 142 58 84
2015-07-21 2016-02-08 2016-07-12 -0.1422 247 140 107
2021-02-16 2021-03-08 NA -0.1346 25 15 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA -1 0.9 0.8 0.1 0.1 -0.1 0.3 0.1 1.4 -0.6 2
2006 0.3 1.4 -0.4 -0.4 1.5 -0.3 -1 0.7 0 -1.1 -0.4 -0.6 -0.4
2007 -0.1 0 -0.2 0.1 0.2 -0.5 1 1.1 1 -1.9 0 -0.5 0.1
2008 2.5 -2.9 3.3 2.4 0.4 0.4 -1.2 -1.2 -1.6 -2.1 -8.9 -0.1 -9.2
2009 -2 -2.1 0.1 -0.1 2.6 0.3 -0.2 -1.2 -2.4 -2.1 0.9 -0.1 -6.3
2010 0.7 1.1 0.8 -1.7 -1.9 0.2 0.1 3.2 0.3 0.1 2 -0.1 4.7
2011 1.2 -1.5 0.8 0.2 -2.3 1.8 -0.2 -0.9 -2.6 -2.7 0.2 -0.4 -6.3
2012 0.7 0.6 0.1 0.3 -3.2 2.4 -0.5 0.5 0.3 1 0 2 4.2
2013 1.2 0.6 -0.5 -0.6 -1.6 1 1.5 -0.7 0.9 0.3 0.1 0.4 2.5
2014 -0.6 0 1.3 0.3 0.1 1.1 -0.3 0.1 -1.6 1.1 -0.8 -0.6 0.1
2015 -0.8 -0.4 -0.9 1.6 0.2 0.7 0.1 -2.7 0.6 -0.9 1.4 -1.2 -2.3
2016 0.6 2.3 1.1 0 0.2 0.3 0 0.1 0.8 -0.9 -1.5 -0.7 2.1
2017 0 1.2 -0.1 0.3 0.8 0.2 0.2 0.1 0.5 -0.3 -0.4 -0.3 2.2
2018 -0.6 -1.9 1.8 0.1 1.3 0.2 -0.3 0.1 0.6 1.2 0.8 0.9 4.2
2019 0.3 1.2 0.9 -1.3 -0.9 0.6 -0.3 0.1 -1.2 0.1 -0.3 0.2 -0.7
2020 -2.4 -0.1 -4.6 -2 0.4 0.7 0.8 1.4 0.6 -1.3 0.7 0.1 -5.8
2021 1.7 2.6 0.8 NA NA NA NA NA NA NA NA NA 5.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-03-03  14.9 SPY    121.  0.0004   0.0082   0.0194   0.0167   0.0478   0.0473  -0.0908 GLD    43.0 -0.0065  -0.0083
2 2005-03-04  15.0 SPY    123.  0.0125   0.0107   0.029    0.0285   0.0581   0.0637  -0.0984 GLD    43.4  0.0095  -0.0028
3 2005-03-07  15.0 SPY    123.  0.0005   0.0179   0.0322   0.0297   0.0551   0.0517  -0.107  GLD    43.5  0.0021  -0.0011
4 2005-03-08  15.0 SPY    122. -0.0037   0.0091   0.0175   0.0262   0.0641   0.05    -0.116  GLD    44.0  0.0129   0.0187
5 2005-03-09  15.0 SPY    121. -0.0111  -0.0017   0.0075   0.0243   0.0565   0.034   -0.127  GLD    44.0 -0.0002   0.0178
6 2005-03-10  14.8 SPY    121.  0.0022   0.0002   0.0086   0.0206   0.0769   0.0341  -0.141  GLD    44.2  0.0041   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart